Quant Report – 2025-08-07

This report includes a summary table followed by individual analysis of each fund or stock, including performance metrics, explanations, and charts.

Table Column Definitions:

• Price: Latest market price of the fund or stock.
• P/E Ratio: Price-to-earnings ratio — higher values may suggest overvaluation.
• ROE: Return on equity — a measure of profitability.
• Max Drawdown 3Y: Largest peak-to-trough loss over the last 3 years.
• 200d MA: 200-day moving average of the price.
• Sharpe (3Y): Risk-adjusted return over the last 3 years.
• Alpha (3Y): Excess return vs SPY over the last 3 years.
• Beta (3Y): Sensitivity to market returns.
• Standard Deviation 3Y: Volatility of returns over 3 years.
• Up/Down Ratio: Ratio of upside to downside volatility — higher means more upside bias.

This report includes predictive insights from several well-known quantitative forecasting models:

• Linear Regression Model: Estimates next-month returns using each stock’s momentum (Z-score), volatility, alpha vs SPY, beta, MA200 gap, recent returns, Sharpe ratio, and news sentiment. Retrained daily.
• Fama-French 3-Factor: Uses exposure to Market (Mkt-RF), Size (SMB), and Value (HML) factors — standard in academic/institutional research.
• Institutional Model: Based on cross-sectional z-scores of factors like earnings yield, ROE, margins, asset growth, and momentum. Inspired by AQR and BlackRock-style forecasting.
• QuantConnect-style Z-Scoring: Combines normalized momentum, volatility, trend, and price strength into a weighted "Quant Score" used to estimate 21-day returns.
• Machine Learning (ML): A Gradient Boosting Regressor trained on 2 years of MAG7 history. Uses Fama-French exposures, institutional z-scores, Quant-style inputs, and news sentiment to capture nonlinear factor interactions.

📊 Forecast Model Outputs (Next 21 Days)